标题: Reading 66: Yield Measures, Spot Rates, and Forward Rates-LOS [打印本页]
作者: 1215 时间: 2011-3-30 15:25 标题: [2011]Session16-Reading 66: Yield Measures, Spot Rates, and Forward Rates-LOS
Session 16: Fixed Income: Analysis and Valuation
Reading 66: Yield Measures, Spot Rates, and Forward Rates
LOS a: Explain the sources of return from investing in a bond.
A bond has a par value of $1,000, a time to maturity of 20 years, a coupon rate of 10% with interest paid annually, a current price of $850, and a yield to maturity (YTM) of 12%. If the interest payments are reinvested at 10%, the realized compounded yield on this bond is:
The realized yield would have to be between the reinvested rate of 10% and the yield to maturity of 12%.
作者: 1215 时间: 2011-3-30 15:25
A 30-year, 12% bond that pays interest annually is discounted priced to yield 14%. However, interest payments will be invested at 12%. The realized compound yield on this bond must be:
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between 12.0% and 14.0%. | |
Since you are reinvesting the current income at 12%, you will have a return of at least 12%. And since the bond is priced to yield 14%, you will earn no more than 14%.
作者: 1215 时间: 2011-3-30 15:26
If an investor holds a bond for a period less than the life of the bond, the rate of return the investor can expect to earn is called:
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expected return, or horizon return. | |
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bond equivalent yield. | |
The horizon return is the total return of a given horizon such as 5 years on a ten year bond.
作者: 1215 时间: 2011-3-30 15:26
An investor purchased a 10-year zero-coupon bond with a yield to maturity of 10% and a par value of $1,000. What would her rate of return be at the end of the year if she sells the bond? Assume the yield to maturity on the bond is 9% at the time it is sold and annual compounding periods are used.
Purchase price: I = 10; N = 10; PMT = 0; FV = 1,000; CPT → PV = 385.54
Selling price: I = 9; N = 9; PMT = 0; FV = 1,000; CPT → PV = 460.43
% Return = (460.43 ? 385.54) / 385.54 × 100 = 19.42%
作者: 1215 时间: 2011-3-30 15:26
A 6-year annual interest coupon bond was purchased one year ago. The coupon rate is 10% and par value is $1,000. At the time the bond was bought, the yield to maturity (YTM) was 8%. If the bond is sold after receiving the first interest payment and the bond's yield to maturity had changed to 7%, the annual total rate of return on holding the bond for that year would have been:
Price 1 year ago N = 6, PMT = 100, FV = 1,000, I = 8, Compute PV = 1,092
Price now N = 5, PMT = 100, FV = 1,000, I = 7, Compute PV = 1,123
% Return = (1,123.00 + 100 ? 1,092.46)/1,092.46 x 100 = 11.95%
作者: 1215 时间: 2011-3-30 15:29
An investor purchased a 6-year annual interest coupon bond one year ago. The coupon interest rate was 10% and the par value was $1,000. At the time he purchased the bond, the yield to maturity was 8%. If he sold the bond after receiving the first interest payment and the yield to maturity continued to be 8%, his annual total rate of return on holding the bond for that year would have been:
Purchase price N = 6, PMT = 100, FV = 1,000, I = 8
compute PV = 1,092.46
Sale price N = 5, PMT = 100, FV = 1,000, I = 8
compute PV = 1,079.85
% return = [(1,079.85 - 1,092.46 + 100) / 1,092.46] x 100 = 8%
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